Non-linear adjustment of the Bitcoin–US dollar exchange rate

This paper analyses the relationship between BitCoin price and social media. The aim of the study was to investigate the adjustment process of the Bitcoin/dollar exchange rate towards its long-run equilibrium value in a nonlinear panel framework. A smooth transition error correction model is estimat...

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Bibliographic Details
Published in:Digital finance 2020, Vol.2 (1-2), p.143-158
Main Authors: Moussa, Wajdi, Mgadmi, Nidhal, Regaïeg, Rym, Othmani, Abdelhafidh
Format: Article
Language:English
Subjects:
Banking
Business Finance
Economics and Finance
Finance
Macroeconomics/Monetary Economics//Financial Economics
Original Article
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Summary:This paper analyses the relationship between BitCoin price and social media. The aim of the study was to investigate the adjustment process of the Bitcoin/dollar exchange rate towards its long-run equilibrium value in a nonlinear panel framework. A smooth transition error correction model is estimated to empirically validate the adjustment of the Bitcoin/dollar exchange rate in relation to its fundamental value. Results depict the presence of a nonlinear adjustment mechanism that reduces the Bitcoin/dollar rate to a partially stable long-term situation. Further, we find empirical evidence that the social media is an effective tool in today’s Bitcoin/dollar exchange rate process.
ISSN:2524-6984
2524-6186
DOI:10.1007/s42521-020-00020-4